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Journal Article
Inflation targeting and the anchoring of inflation expectations in the western hemisphere
We investigate the extent to which long-run inflation expectations are well anchored in three Western Hemisphere countries - Canada, Chile, and the United States - using a high-frequency event-study analysis. Specifically, we use daily data on far-ahead forward inflation compensation - the difference between forward rates on nominal and inflation-indexed bonds - as an indicator of financial market perceptions of inflation risk and the expected level of inflation at long horizons. For the United States, we find that far-ahead forward inflation compensation has reacted significantly to ...